ROBUST PARAMETER ESTIMATION FOR RANDOM EFFECT PANEL DATA MODEL IN THE PRESENCE OF HETEROSCEDASTICITY AND INFLUENTIAL OBSERVATIONS
DOI:
https://doi.org/10.33003/fjs-2021-0503-746Keywords:
Heteroscedasticity; Influential observations; Panel Data; Random Effect Model; RHCCM; Weighted Least SquareAbstract
Panel data estimators can strongly be biased and inconsistent in the presence of heteroscedasticity and anomalous observations called influential observations (IOs) in Random effect (RE) panel data model. The existing methods (LWS, WLSF, WLSDRGP) address only the problem of IO but fail to remedy the combine problem of heteroscedasticity and IOs. Therefore, in this research we develop a method that will remedy the combine problem of heteroscedasticity and IOs based on robust heteroscedasticity consistent covariance matrix (RHCCM) estimator and fast improvised influential distance (FIID) weighting method denoted by WLSFIID. The simulation and numerical evidences show that our proposed estimation method is more efficient than the existing methods by providing smallest bias, and smallest standard error of HC4 and HC5
References
Ali A.H. and Al-Saif A.S.J (2008), Adomian decomposition method for solving some models of nonlinear partial differential equation, Basrah Journal of Science (A), 26(1), 1-11
Erinle-Ibrahim, L.M., Ayeni O.B and Idowu K.O. (2021) Application of Homotopy perturbation method to the mathematical modeling of temperature rise during microwave hyperthermia. FUDMA Journal of Science. DOI: https://doi.org/10.33003/fjs-2021-0502-645
Elzaki T.M. and Elzaki, S.M. (2011): On the solution of integro-Differential Equation Systems by using Elzaki Transform, Glob. J. Math. Sci. Theory Pract. 3(1): 13-23
He, J.H (2004): The homotopy perturbation method for non-linear oscillators with discontinuities, Applied Mathematics. Comput. 156: 591-596
Sujit H. and Karande B.D (2012): Substitution method for solving partial differential equations involving mixed partial derivatives, International Journal of Pure and Applied Mathematics, 78:973-979
Published
How to Cite
Issue
Section
FUDMA Journal of Sciences
